Model selection criteria in multivariate models with multiple structural changes
DOI10.1016/J.JECONOM.2011.04.003zbMATH Open1441.62786OpenAlexW1986928718MaRDI QIDQ738024FDOQ738024
Eiji Kurozumi, Purevdorj Tuvaandorj
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd10-144.pdf
Statistical aspects of information-theoretic topics (62B10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimating the dimension of a model
- Some Comments on C P
- Estimating the number of change-points via Schwarz' criterion
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Estimating and Testing Linear Models with Multiple Structural Changes
- A Modified Bayes Information Criterion with Applications to the Analysis of Comparative Genomic Hybridization Data
- Structural Break Estimation for Nonstationary Time Series Models
- The estimation of the order of an ARMA process
- Model Selection and Multimodel Inference
- Selection of the order of an autoregressive model by Akaike's information criterion
- Likelihood ratio tests for multiple structural changes
- Optimal changepoint tests for normal linear regression
- Information criteria and statistical modeling.
- Estimating and Testing Structural Changes in Multivariate Regressions
- The minimum of an additive process with applications to signal estimation and storage theory
- Information criterion for Gaussian change-point model
- AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK
Cited In (12)
- Testing for common breaks in a multiple equations system
- Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
- Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search
- Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
- Title not available (Why is that?)
- Structural breaks in time series
- Estimating DNA methylation levels by joint modeling of multiple methylation profiles from microarray data
- Structural changes in multivariate regression models
- Likelihood-ratio-based confidence sets for the timing of structural breaks
- The Structure of Multivariate Models and the Range of Definition
- The asymptotic behaviour of the residual sum of squares in models with multiple break points
- Multiple-model estimation with variable structure. II: Model-set adaptation
This page was built for publication: Model selection criteria in multivariate models with multiple structural changes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738024)
